A regularization approach to the many instruments problem (Q528055)

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Language	Label	Description	Also known as
English	A regularization approach to the many instruments problem	scientific article

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scholarly article

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A regularization approach to the many instruments problem (English)

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Marine Carrasco

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Journal of Econometrics

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publication date

12 May 2017

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full work available at URL

http://www.sciencedirect.com/science/article/pii/S0304407612001248

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zbMATH Keywords

many instruments

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mean square error

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regularization methods

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MaRDI profile type

MaRDI publication profile

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On the Use of Principal Components of Independent Variables in Two-Stage Least-Squares Estimation

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Determining the Number of Factors in Approximate Factor Models

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INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT

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Alternative Approximations to the Distributions of Instrumental Variable Estimators

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Efficient estimation of general dynamic models with a continuum of moment conditions

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GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS

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Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation

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Higher moment estimators for linear regression models with errors in the variables

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Consistent Estimation of Models Defined by Conditional Moment Restrictions

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Empirical likelihood estimation and consistent tests with conditional moment restrictions

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Choosing the Number of Instruments

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GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model

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Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter

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Kernel methods in machine learning

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Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

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Linear integral equations.

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Optimal instrumental variables estimation for ARMA models

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Econometric Theory and Practice

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Kernel-weighted GMM estimators for linear time series models

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Asymptotic optimality of \(C_ L\) and generalized cross-validation in ridge regression with application to spline smoothing

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Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set

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Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics.

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Some Comments on C P

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The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations

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Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

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Instrumental variable estimation in the presence of many moment conditions

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Empirical likelihood ratio confidence intervals for a single functional

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Weak convergence and empirical processes. With applications to statistics

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Identifiers

zbMATH Open document ID

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10.1016/j.jeconom.2012.05.012

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:528055

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